i use Dockside Lock-Up and my enemy respond with Thrill of the Hunt targeting that unit. what

No — the banish fizzles. Thrill of the Hunt goes on the chain above your "when you play this" trigger, so it resolves first: the unit is banished and replayed to a battlefield of their choice, entering as a brand-new game object. Your Lock-Up trigger then resolves against a unit that no longer exists, so it mistargets and the "banish a unit here" instruction is simply ignored (Rule 359.3.e.12).

That holds even if they replay it to that same battlefield — moving to a non-board zone severs the targeting link entirely, unlike a Flash-style move to Base where the unit stays the same object. So nothing gets banished, and the hold half of Lock-Up has no card to play later.

Two side notes: Lock-Up itself stays on the board since it was legally played, and it still dies if the opponent later holds there. If they'd waited until after your trigger resolved, Thrill of the Hunt couldn't get the unit back, because the card is in banishment and isn't a unit on the board to target.